KMS Of Academy of mathematics and systems sciences, CAS
| Model averaging in a multiplicative heteroscedastic model | |
| Zhao, Shangwei1; Ma, Yanyuan2; Wan, Alan T. K.3; Zhang, Xinyu4; Wang, Shouyang4 | |
| 2020-06-03 | |
| Source Publication | ECONOMETRIC REVIEWS
 |
| ISSN | 0747-4938 |
| Pages | 25 |
| Abstract | In recent years, the body of literature on frequentist model averaging in econometrics has grown significantly. Most of this work focuses on models with different mean structures but leaves out the variance consideration. In this article, we consider a regression model with multiplicative heteroscedasticity and develop a model averaging method that combines maximum likelihood estimators of unknown parameters in both the mean and variance functions of the model. Our weight choice criterion is based on a minimization of a plug-in estimator of the model average estimator's squared prediction risk. We prove that the new estimator possesses an asymptotic optimality property. Our investigation of finite-sample performance by simulations demonstrates that the new estimator frequently exhibits very favorable properties compared with some existing heteroscedasticity-robust model average estimators. The model averaging method hedges against the selection of very bad models and serves as a remedy to variance function mis-specification, which often discourages practitioners from modeling heteroscedasticity altogether. The proposed model average estimator is applied to the analysis of two data sets on housing and economic growth. |
| Keyword | Heteroscedasticity-robust model averaging multiplicative heteroscedasticity plug-in squared prediction risk |
| DOI | 10.1080/07474938.2020.1770995 |
| Indexed By | SCI |
| Language | 英语 |
| Funding Project | National Natural Science Foundation of China[71925007] ; National Natural Science Foundation of China[71631008] ; National Natural Science Foundation of China[11871294] ; City University of Hong Kong[7004985] ; Ministry of Education in China[17YJC910011] |
| WOS Research Area | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| WOS Subject | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability |
| WOS ID | WOS:000542771200001 |
| Publisher | TAYLOR & FRANCIS INC |
| Citation statistics | |
| Document Type | 期刊论文 |
| Identifier | http://ir.amss.ac.cn/handle/2S8OKBNM/51697 |
| Collection | 中国科学院数学与系统科学研究院 |
| Corresponding Author | Zhang, Xinyu |
| Affiliation | 1.Minzu Univ China, Sch Sci, Beijing, Peoples R China 2.Penn State Univ, Dept Stat, University Pk, PA 16802 USA 3.City Univ Hong Kong, Dept Management Sci, Hong Kong, Peoples R China 4.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China |
| Recommended Citation GB/T 7714 | Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,et al. Model averaging in a multiplicative heteroscedastic model[J]. ECONOMETRIC REVIEWS,2020:25. |
| APA | Zhao, Shangwei,Ma, Yanyuan,Wan, Alan T. K.,Zhang, Xinyu,&Wang, Shouyang.(2020).Model averaging in a multiplicative heteroscedastic model.ECONOMETRIC REVIEWS,25. |
| MLA | Zhao, Shangwei,et al."Model averaging in a multiplicative heteroscedastic model".ECONOMETRIC REVIEWS (2020):25. |
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